2026 · Journal Article
Proximal Estimation and Inference
with A. Quaini
Econometric Theory, forthcoming
Publications
Selected publications, complete publication list, and working papers.
Selected Publications
Selected publications in leading finance, econometrics, and statistics journals. The complete publication list and working papers are provided below. Additional working paper versions, preprints, and recent research updates are available on my SSRN Author Page.
Finance
- 2026
Universal Portfolio Shrinkage
Review of Financial Studies, forthcoming - 2026
Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models
Journal of Financial Economics, forthcoming - 2025
Smart Stochastic Discount Factors
Management Science, forthcoming - 2024
On the Nature of Jump Risk Premia
Management Science - 2023
The Global Factor Structure of Exchange Rates
Journal of Financial Economics - 2021
Model-Free International Stochastic Discount Factors
Journal of Finance - 2021
The Price of the Smile and Variance Risk Premia
Management Science - 2020
Dividend Growth Predictability and the Price Dividend Ratio
Management Science - 2019
(Almost) Model-Free Recovery
Journal of Finance - 2014
When Uncertainty Blows in the Orchard
Journal of Finance - 2014
Economic Uncertainty, Disagreement, and Credit Markets
Management Science - 2014
When There is No Place to Hide
Review of Financial Studies - 2010
Correlation Risk and Optimal Portfolio Choice
Journal of Finance
Econometrics & Statistics
- 2026
Proximal Estimation and Inference
Econometric Theory, forthcoming - 2012
Higher Order Infinitesimal Robustness
Journal of the American Statistical Association - 2012
Robust Subsampling
Journal of Econometrics - 2010
Infinitesimal Robustness for Diffusions
Journal of the American Statistical Association - 2005
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
Journal of the American Statistical Association - 2005
Robust Efficient Method of Moments
Journal of Econometrics - 2005
Robust GMM Tests for Structural Breaks
Journal of Econometrics - 2001
Robust Inference with GMM Estimators
Journal of Econometrics
Complete Publication List
Full journal-publication list, sorted in reverse chronological order.
2026 · Journal Article
Universal Portfolio Shrinkage
with B. Kelly, S. Malamud and M. Pourmohammadi
Review of Financial Studies, forthcoming
2026 · Journal Article
Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models
with S. Bryzgalova, A. Quaini and M. Yuan
Journal of Financial Economics, forthcoming
2025 · Journal Article
Smart Stochastic Discount Factors
with S. Korsaye and A. Quaini
Management Science, forthcoming
2024 · Journal Article
On the Nature of Jump Risk Premia
with P. Orlowski and P. Schneider
Management Science, 70(2), 1154–1174
2024 · Journal Article
Predictability Hidden by Anomalous Observations in Financial Data
with L. Camponovo and O. Scaillet
Econometrics and Statistics, forthcoming
2023 · Journal Article
The Global Factor Structure of Exchange Rates
with S. Korsaye and A. Vedolin
Journal of Financial Economics, 148(1), 21–46
2021 · Journal Article
Model-Free International Stochastic Discount Factors
with M. Sandulescu and A. Vedolin
Journal of Finance, 76(2), 935–976
2021 · Journal Article
The Price of the Smile and Variance Risk Premia
with P. Gruber and C. Tebaldi
Management Science, 67(7), 3985–4642
2020 · Journal Article
Dividend Growth Predictability and the Price Dividend Ratio
with I. Piatti
Management Science, 66(1), 130–158
2019 · Journal Article
(Almost) Model-Free Recovery
with P. Schneider
Journal of Finance, 74(1), 323–370
2019 · Journal Article
Divergence and the Price of Uncertainty
with P. Schneider
Journal of Financial Econometrics, 17(3), 341–396
2017 · Journal Article
Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
with L. Camponovo and O. Scaillet
Journal of Financial Econometrics, 15(3), 377–387
2014 · Journal Article
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
with A. Buraschi and A. Vedolin
Journal of Finance, 69(1), 101–137
2014 · Journal Article
Economic Uncertainty, Disagreement, and Credit Markets
with A. Buraschi and A. Vedolin
Management Science, 60(5), 1281–1296
2014 · Journal Article
When There is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
with A. Buraschi and R. Kosowski
Review of Financial Studies, 27(2), 581–616
2012 · Journal Article
Higher Order Infinitesimal Robustness
with D. La Vecchia and E. Ronchetti
Journal of the American Statistical Association, 107(500), 1546–1557
2012 · Journal Article
Robust Subsampling
with L. Camponovo and O. Scaillet
Journal of Econometrics, 167(1), 197–210
2011 · Journal Article
A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations
with F. Audrino
Journal of Business and Economic Statistics, 138–149
2011 · Journal Article
Robust Value at Risk Prediction
with L. Mancini
Journal of Financial Econometrics, 281–313
2010 · Journal Article
Correlation Risk and Optimal Portfolio Choice
with A. Buraschi and P. Porchia
Journal of Finance, 65(1), 393–420
2010 · Journal Article
Infinitesimal Robustness for Diffusions
with D. La Vecchia
Journal of the American Statistical Association, 703–712
2009 · Journal Article
Ambiguity Aversion and the Term Structure of Interest Rates
with P. Gagliardini and P. Porchia
Review of Financial Studies, 22, 4157–4188
2009 · Journal Article
Multiperiod Mean-Variance Efficient Portfolios with Endogenous Liabilities
with M. Leippold and P. Vanini
Quantitative Finance, 1469–1488
2009 · Journal Article
Limits of Learning About a Categorical Latent Variable under Prior Near-Ignorance
with A. Piatti, M. Hutter and M. Zaffalon
International Journal of Approximate Reasoning, 50(4), 597–611
2008 · Journal Article
Learning and Asset Prices under Ambiguous Information
with M. Leippold and P. Vanini
Review of Financial Studies, 21, 2565–2597
2008 · Journal Article
Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility
with A. Sbuelz
Journal of Economic Dynamics and Control, 32(11), 3695–3717
2007 · Journal Article
Accurate Short Term Yield Curve Forecasting Using Functional Gradient Descent
with F. Audrino
Journal of Financial Econometrics, 5, 591–623
2006 · Journal Article
Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets
with F. Audrino
Journal of Applied Econometrics, 21, 345–369
2006 · Journal Article
Equilibrium Impact of Value-at-Risk Regulation
with M. Leippold and P. Vanini
Journal of Economic Dynamics and Control, 30, 1277–1313
2005 · Journal Article
Robust Efficient Method of Moments
with C. Ortelli
Journal of Econometrics, 128, 69–97
2005 · Journal Article
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
with L. Mancini and E. Ronchetti
Journal of the American Statistical Association, 100, 628–641
2005 · Journal Article
Robust GMM Tests for Structural Breaks
with P. Gagliardini and G. Urga
Journal of Econometrics, 129, 139–182
2004 · Journal Article
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
with M. Leippold and P. Vanini
Journal of Economic Dynamics and Control, 28, 1079–1113
2004 · Journal Article
Robustness and Ambiguity Aversion in General Equilibrium
with P. Vanini
Review of Finance, 279–324
2003 · Journal Article
Robust GMM Analysis of Models for the Short Rate Process
with R. Dell’Aquila and E. Ronchetti
Journal of Empirical Finance, 10, 373–397
2002 · Journal Article
A Note on Robustness in Merton’s Model of Intertemporal Consumption and Portfolio Choice
with P. Vanini
Journal of Economic Dynamics and Control, 26, 423–435
2001 · Journal Article
Robust Inference with GMM Estimators
with E. Ronchetti
Journal of Econometrics, 101, 37–69
2001 · Journal Article
Short-Term Volatility Timing Reduces Downside Risk
with G. Barone Adesi and P. Gagliardini
International Journal of Finance, 13(2), 1794–1825
Working Papers and Work in Progress
Current Working Papers
- 2026
The Factor Space in Short Portfolio Panels
Working paper; with P. Gagliardini and P. Vallarino - 2026
Conditional Asset Pricing with Frictional Machine Learning
Working paper; with S. Korsaye and H. Ma - 2023
SDF Bounds
Working paper; with P. Orlowski, A. Tahbaz-Salehi and A. Vedolin - 2023
What You Can Really Tell from Option Prices?
Working paper; with O. Bondarenko, Y. Didsheim and P. Schneider - 2023
A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice with Transaction Costs
SFI Working Paper; with L. Gaegauf and S. Scheidegger - 2023
Demand-Based Expected Returns
Working paper; with A. Crescini and A. Vedolin
Earlier Working Papers
- 2019
Arbitrage Free Dispersion
Older working paper; with P. Orlowski and A. Sali - 2015
Fear Trading
Older working paper; with P. Schneider - 2015
Ambiguity and Reality
Older working paper; with J. Wrampelmeyer and C. Wiehenkamp - 2014
Changes You Can Deal With? Robust Hedge Fund Exposures and Alphas
Older working paper; with L. Camponovo and A. Popescu - 2013
Robust Resampling Methods for Time Series
Older working paper; with L. Camponovo and O. Scaillet - 2009
Variance Covariance Orders and Median Preserving Spreads
Older working paper; with S. Malamud - 2008
Multivariate Pricing of Capital Structure Derivatives with Stochastic Smiles and Skews
Older working paper; with Johannes Wunsch - 2008
Asset Pricing with Matrix Jump Diffusions
Older working paper; with M. Leippold